Value-at-Risk and Expected Shortfall When There Is Long Range Dependence
Year of publication: |
2017
|
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Authors: | Härdle, Wolfgang K. |
Other Persons: | Mungo, Julius (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Risikomaß | Risk measure |
Extent: | 1 Online-Ressource (40 p) |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 7, 2008 erstellt |
Other identifiers: | 10.2139/ssrn.2894310 [DOI] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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